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Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance
Cai, Jun; Liu, Fangda; Yin, Mingren - In: European journal of operational research : EJOR 318 (2024) 1, pp. 310-326
Persistent link: https://www.econbiz.de/10015047732
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Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit
Lu, ZhiYi; Meng, LiLi; Wang, Yujing; Shen, Qingjie - In: Insurance / Mathematics & economics 68 (2016), pp. 92-100
Persistent link: https://www.econbiz.de/10011492551
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Pareto-optimal reinsurance under individual risk constraints
Ghossoub, Mario; Jiang, Wenjun; Ren, Jiandong - In: Insurance / Mathematics & economics 107 (2022), pp. 307-325
Persistent link: https://www.econbiz.de/10013471249
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Robust insurance design with distortion risk measures
Boonen, Tim J.; Jiang, Wenjun - In: European journal of operational research : EJOR 316 (2024) 2, pp. 694-706
Persistent link: https://www.econbiz.de/10014575576
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Bowley reinsurance with asymmetric information on the insurer's risk preferences
Boonen, Tim J.; Cheung, Ka Chun; Zhang, Yiying - In: Scandinavian actuarial journal 2021 (2021) 7, pp. 623-644
Persistent link: https://www.econbiz.de/10012624638
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Risk in large claims insurance market with bipartite graph structure
Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine - In: Operations research 64 (2016) 5, pp. 1159-1176
Persistent link: https://www.econbiz.de/10011594678
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Optimal reinsurance with premium constraint under distortion risk measures
Zheng, Yanting; Cui, Wei - In: Insurance / Mathematics & economics 59 (2014), pp. 109-120
Persistent link: https://www.econbiz.de/10010469167
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Optimal reinsurance in the presence of counterparty default risk
Asimit, Alexandru V.; Badescu, Alexandru M.; Cheung, Ka Chun - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 690-697
Persistent link: https://www.econbiz.de/10010227904
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Optimal reinsurance : a risk sharing approach
Balbás de la Corte, Alejandro; Balbas, Beatriz; … - In: Risks : open access journal 1 (2013) 2, pp. 45-56
This paper proposes risk sharing strategies, which allow insurers to cooperate and diversify non-systemic risk. We deal … with both deviation measures and coherent risk measures and provide general mathematical methods applying to optimize them … all. Numerical examples are given in order to illustrate how efficiently the non-systemic risk can be diversified and how …
Persistent link: https://www.econbiz.de/10010199029
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Optimal reinsurance with general risk measures
Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: Insurance / Mathematics & economics 44 (2009) 3, pp. 374-384
Persistent link: https://www.econbiz.de/10009517626